/// <summary>
/// Basic settings for the strategy.
/// </summary>
private void SetDefaultWorkings()
{
m_EntryLongNode = new TradingNode("Enter Long Node");
m_EntryShortNode = new TradingNode("Enter Short Node");
m_FadeLongNode = new TradingNode("Fade Long Node");
m_FadeShortNode = new TradingNode("Fade Short Node");
m_EntryLongNode.WorkingEnterQty = m_EntryQty;
m_EntryShortNode.WorkingEnterQty = m_EntryQty;
m_FadeLongNode.WorkingEnterQty = m_FadeQty;
m_FadeShortNode.WorkingEnterQty = m_FadeQty;
m_EntryLongNode.IsEnterEnable = true;
m_EntryShortNode.IsEnterEnable = true;
m_FadeLongNode.IsEnterEnable = true;
m_FadeShortNode.IsEnterEnable = true;
m_EntryLongNode.TradeLevel = 0;
m_EntryShortNode.TradeLevel = 0;
m_FadeLongNode.TradeLevel = 1;
m_FadeShortNode.TradeLevel = 1;
m_EntryLongNode.TradeSide = TradeSide.Buy;
m_EntryShortNode.TradeSide = TradeSide.Sell;
m_FadeLongNode.TradeSide = TradeSide.Buy;
m_FadeShortNode.TradeSide = TradeSide.Sell;
this.TryAddTradingNode(m_EntryLongNode);
this.TryAddTradingNode(m_EntryShortNode);
this.TryAddTradingNode(m_FadeLongNode);
this.TryAddTradingNode(m_FadeShortNode);
}
public override void AddSubElement(IStringifiable subElement)
{
base.AddSubElement(subElement);
Type elementType = subElement.GetType();
if (elementType == typeof(TradingNode))
{
TradingNode tradingNode = (TradingNode)subElement;
if (tradingNode.TradeLevel == 0)
{
switch (tradingNode.TradeSide)
{
case TradeSide.Unknown:
break;
case TradeSide.Buy:
m_EntryLongNode = tradingNode;
break;
case TradeSide.Sell:
m_EntryShortNode = tradingNode;
break;
}
}
if (tradingNode.TradeLevel == 1)
{
switch (tradingNode.TradeSide)
{
case TradeSide.Unknown:
break;
case TradeSide.Buy:
m_FadeLongNode = tradingNode;
break;
case TradeSide.Sell:
m_FadeShortNode = tradingNode;
break;
}
}
}
if (elementType == typeof(KeltnerTradingVariables))
{
KeltnerTradingVariables = (KeltnerTradingVariables)subElement;
m_EntryQty = KeltnerTradingVariables.EntryQty;
m_FadeQty = KeltnerTradingVariables.FadeQty;
m_EntryWidth = KeltnerTradingVariables.EntryWidth;
m_FadeWidth = KeltnerTradingVariables.FadeWidth;
m_PukeWidth = KeltnerTradingVariables.PukeWidth;
m_EMALength = KeltnerTradingVariables.EMALength;
m_ATRLength = KeltnerTradingVariables.ATRLength;
m_MOMLength = KeltnerTradingVariables.MomentumLength;
m_MomentumEntry = KeltnerTradingVariables.MomentumEntryValue;
m_MomentumPuke = KeltnerTradingVariables.MomentumPukeValue;
}
}
//
//
/// <summary>
/// Adjust the trading variables for each level based on the correct position.
/// </summary>
/// <param name="correctPosition"></param>
public void AdjustTradingNodes(int correctPosition)
{
SetDefaultWorkings();
TradingNode tradingNode = null;
var workingNodes = correctPosition > 0 ? m_WorkingBuyNodes : m_WorkingSellNodes;
correctPosition = Math.Abs(correctPosition);
int level = 0;
// Allocate the working quantities for trading levels from lower level to upper level.
while (correctPosition > 0 && level < workingNodes.Count)
{
tradingNode = workingNodes[level];
if (tradingNode.TradeLevel == level)
{
if (correctPosition <= m_EntryQty)
{
tradingNode.WorkingEnterQty = m_EntryQty - correctPosition;
tradingNode.WorkingExitQty = correctPosition;
correctPosition = 0;
}
else
{
tradingNode.WorkingEnterQty = 0;
tradingNode.WorkingExitQty = m_EntryQty;
correctPosition = correctPosition - m_EntryQty;
}
}
else if (tradingNode.TradeLevel == level)
{
if (correctPosition <= m_FadeQty)
{
tradingNode.WorkingEnterQty = m_FadeQty - correctPosition;
tradingNode.WorkingExitQty = correctPosition;
correctPosition = 0;
}
else
{
tradingNode.WorkingEnterQty = 0;
tradingNode.WorkingExitQty = m_FadeQty;
correctPosition = correctPosition - m_FadeQty;
}
}
level++;
}
}
